A Study in the Relationship between the Risk of Mutual Fund and Its Characteristics

• Main Authors: CAI,ZE-HUA, 蔡澤華
• Other Authors: WU,E-CHING
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/zhc2q4

碩士 === 靜宜大學 === 財務金融學系 === 106 === When investing in a mutual fund, investors often read a “classification of the risk rating of the mutual fund” established by the Association of the R.O.C. (SITCA). Does this risk level adequately reflect the fund's risk? What is the relationship between the risk of mutual fund and its characteristics? This study is designed to examine the relationship between the risk of mutual fund and its characteristics, during January 1, 2017 to December 31, 2017. It is easy for fund investors to choose their own funds more appropriately. In this paper, the characteristics of mutual funds consist of the established history, risk rating, total assets, and the rate of return on net asset. This paper use OLS to examined the relationship between the risk (including the standard deviation, beta value, pricing of risk) of mutual fund and its characteristics. The results show that the beta value and the standard deviation of the fund are affected by fund characteristics (established history, risk rating, total assets, rate of return on net asset, and investment targets). However, the price of risk is only affected by the total assets and risk rating. In addition, a lower level of risk is probably to have a higher price of risk. Therefore, the risk rating has a considerable reference value. Thus, the investors can choose an appropriate risk level of fund investment based on their risk preference.